Mutual Banks Act, 1993 (Act No. 124 of 1993)RegulationsRegulations relating to Mutual BanksChapter II : Risk-based Returns and Instructions, Directives and Interpretations relating to the completion thereof27. Interest-rate risk |
| (1) | The risk in question relates to the impact on income resulting from the repricing of assets, liabilities and derivatives at different points in time. |
Note: The risk of changes in the capital value of investments resulting from changes in interest rates shall, for the purpose of these Regulations, be deemed to be market risk (position risk) and shall be reported in form DI 420.
| (2) | Three elements primarily encompass the risk associated with interest rates, namely, the margin between the rates earned on assets and paid on liabilities, the repricing potential of assets and liabilities at different points in time, resulting in mismatches in various. time bands between assets, liabilities and derivatives and, lastly, the period over which these mismatches persist. |
| (3) | The "flow" approach shall be used in completing form DI 410, i.e. reflect, per time band, the total amounts of assets and liabilities and derivatives, that can be expected to reprice. |
| (4) | All balance-sheet items and derivative market activities identified on form DI 410 that have a bearing on the interest rate exposure of a mutual bank, shall be included in this return. |
| (5) | All on-balance-sheet items shall be reported at book value, while derivative market items shall be reflected on an equivalent basis. |
| (6) | All relevant foreign- exchange items 5 shall also be included in this return. |
| (7) | A mutual bank shall complete the form DI 410 in accordance with such instructions or requirements as may be determined or directed in writing by the Authority. |
[Regulation 27(7) inserted by section 20 of Notice No. 7414 of GG54593, dated 29 April 2026 - effective 1 May 2026]
[Deleted] Form DI410 - Directives and interpretations for completion